A prediction model generation device has a first storage unit that stores a plurality of explanatory variables, a second storage unit that stores a plurality of objective variables, an input unit that inputs instruction information on classification, a class generation unit that generates a plurality of classes based on the instruction information, and a prediction model calculation unit that calculates a plurality of prediction models corresponding to the plurality of classes. The prediction model calculation unit has a learning data set extraction unit that extracts a learning data set corresponding to each of the plurality of classes from among the plurality of explanatory variables and the plurality of objective variables.